Pretty much always. I play it loud, preferably on headphones. Not only does it block the world around me out and let me focus on the story world, it also helps shape that story world.

In fact, soon as I get an idea for a new story, the first thing I do is start building a playlist, selecting songs that match the mood and atmosphere for the different scenes I'm planning to write. It's not so much about the lyrics,* it's about the feeling of a song.

For Coyote (available here), I ended up building a playlist of close to 100 songs total, but there were 22 in particular I listened to over and over. Here are songs 1-11:

*Side note: Don't you hate movies where the lyrics of the song they're playing match up exactly to what's happening on the screen? Except this movie. It's kind of hard to hate on this movie, even though the action matches up EXACTLY to the words in the songs.